It wasn't supposed to be this way. Six thousand Real Sociedad fans began their journey on Tuesday morning, heading off to Old Trafford. There was excitement of course, a sense of adventure and enjoyment, but there was fear too. The Basque side have yet to win and they stand on the verge of elimination. This should have been an opportunity; instead it is an obligation. "It's going to be a lovely couple of days and we're looking forward to it," said the captain, Xabi Prieto, "but it is almost life or death: we have to get a point to stay alive."

There was something appropriate about the manner in which Real Sociedad defeated Lyon to reach the Champions League proper; something about the class, skill and daring with which they won 2-0 at the Stade Gerland; something about the second goal, smashed in by the new signing Haris Seferovic, and something about the way Antoine Griezmann announced their return to Europe's greatest stage after a 10-year absence with an overhead kick. It was so very Real Sociedad.

Of la Real's starting XI 10 had never played in the Champions League before, but few were truly surprised: they had defeated Lyon like they defeated teams in Spain. Young and largely homegrown, last season Real Sociedad were arguably the most exciting team in La Liga. Exhibiting a combination of Barcelona's touch and Real Madrid's swift incision, there was a swagger about them. Three days earlier they had won their first league game against Getafe 2-0. They had scored four goals, all of them wonderful. Then they finished Lyon off with another 2-0 win.

But then it all started to go wrong. Last weekend Real Sociedad won 2-1 at Valencia. It was their first league victory since the opening day and they had gone into the game 15th, a single point off the relegation zone. Defeats against Shakhtar Donetsk and Bayer Leverkusen put them on edge in the Champions League too. Ten years waiting and knocked out almost before they had started? "We'll go to Old Trafford and try to get something: we certainly don't want to be dead already after the third game," says the midfielder David Zurutuza.

On Monday night Philippe Montanier was officially named Spain's manager of the year for 2012-2013. He is no longer at the club – he departed in the summer, replaced by his assistant, Jagoba Arrasate. On Saturday night, Asier Illaramendi was given positive reviews for his performance against Málaga. He is no longer at the club either: he left la Real for Real Madrid in exchange for the €38m stipulated in his buy-out clause. Esteban Granero, signed on loan from QPR to replace him, will be out of action for six months after suffering a knee-ligament injury in the defeat to Shakhtar.

But players shake their heads when Illaramendi and Montanier are offered up as an excuse. For them, it's harder to explain. They hope too that victory over Valencia proves a turning point. "We're missing chances, it's just not quite dropping for us," Zurutuza says. "Increasingly teams are sitting very deep and waiting for us too, and that's hard. In almost of the games so far we've conceded the first and then it costs you the earth to turn it round.

"There might be a psychological element too, as there is in all sports. There are lots of factors. I really couldn't explain what is happening to us but when you miss chances over and over again that starts to weigh on you. You feel yourself sinking. But the international break was good: it helped us disconnect a bit, clear our minds. It served to relax us and to let us recompose ourselves. Last year we also had a bad start and we got better, so we have to trust that the same thing will happen this season."

The good news is that United are not exactly playing well either; the bad news is that there is no margin for error. Zurutuza laughs. "Ha ha, I don't know if that is a good news: United are United however badly they start. We know that we have a very difficult opponent.

"And as for the obligation," he continues, "we look at the Champions League as a prize, a reward for what we did last year. It's very hard for la Real to do anything big in the Champions League, although we're not ruling it out. We're playing in a competition that we normally watch on the telly and we're excited about it. But it's the league that gives us our daily bread. And that's what we have to focus on."

If that sounds like a player who has given up, Zurutuza insists otherwise. It is realism, a means of releasing the pressure, and, besides, la Real have been burnt before. The last time they reached the Champions League was a decade ago as La Liga runners-up, but their European season was disastrous. They paid for it domestically too, finishing 15th. Relegation followed in 2007 and it took three years to come back up. For all the enthusiasm, the giddy excitement at hearing the Champions League anthem, a lesson was learnt.

"For us, it shouldn't be a priority," Zurutuza says. "You go into the ground and it's great, it really impresses you, but we have to be conscious of the fact that [the league] is what we do. We'll go to Old Trafford and give everything. But from then on, the focus is the league ..."

And if there is no way through, there's always the Europa League. "Maybe for the big clubs the Europa League is a coñazo [a pain in the arse]," the midfielder says. "But for us, who have gone 10 years without playing in Europe, a team that spent three years in the second division, playing in the Europa League would be a prize. Right now, though, it's not a prize we want."